zszq-trs/YLErpDAL/Model/RealtimeTradeRisk.cs

using BaseOUDAL;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.ComponentModel.DataAnnotations.Schema;
namespace YLErp.DBModels
{
    [Table("realtime_trade_risk")]
    public class realtime_trade_risk : DBModelWithOperator
    {
        public static string LogClass = "日间交易估值";

        /// <summary>
        /// 估值日
        /// </summary>
        [DisplayName("估值日")]
        [Required]
        public DateTime ValueDate { get; set; }
        /// <summary>
        /// 交易信息
        /// </summary>
        [DisplayName("交易信息")]
        [Required]
        public int? TradeId
        {
            get; set;
        }
        /// <summary>
        /// exposure = underlying code
        /// </summary>
        public string Exposure
        {
            get; set;
        }
        /// <summary>
        /// 实时标的价格
        /// </summary>
        public double? UnderlyingPrice { get; set; }
        /// <summary>
        /// 簿记账户
        /// </summary>
        [DisplayName("簿记账户")]
        [Required]
        public string BookId { get; set; }
        /// <summary>
        /// 客户信息
        /// </summary>
        [DisplayName("客户信息")]
        public int? ClientId { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("Pv")]
        public double? Pv { get; set; }
        /// <summary>
        /// 四舍五入处理后的持仓市值
        /// </summary>
        [DisplayName("Pv")]
        public double? RoundedPv { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("Delta")]
        public double? Delta { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("Gamma")]
        public double? Gamma { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("Vega")]
        public double? Vega { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("Theta")]
        public double? Theta { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("Rho")]
        public double? Rho { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("DdeltaDt")]
        public double? DdeltaDt { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("DdeltaDvol")]
        public double? DdeltaDvol { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("DvegaDt")]
        public double? DvegaDt { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("DvegaDvol")]
        public double? DvegaDvol { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("Pnl")]
        public double? Pnl { get; set; }

        /// <summary>
        /// 波动率类型
        /// </summary>
        [DisplayName("波动率类型")]
        [Required]
        public string VolType { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("DeltaCash")]
        public double? DeltaCash { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("GammaCash")]
        public double? GammaCash { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("VegaCash")]
        public double? VegaCash { get; set; }
        /// <summary>
        /// 
        /// </summary>
        [DisplayName("可对冲Delta")]
        public double? DeltaInLots { get; set; }
        /// <summary>
        /// 持仓波动率
        /// </summary>
        [DisplayName("持仓波动率")]
        public double? Vol { get; set; }
        /// <summary>
        /// 实现盈亏
        /// </summary>
        [DisplayName("实现盈亏")]
        public double? RealizedPnl { get; set; }
        /// <summary>
        /// 持仓盈亏
        /// </summary>
        [DisplayName("持仓盈亏")]
        public double? PositionPnl { get; set; }
        /// <summary>
        /// 四舍五入处理后的持仓盈亏
        /// </summary>
        [DisplayName("持仓盈亏")]
        public double? RoundedPositionPnl { get; set; }

        /// <summary>
        /// 信用风险敞口
        /// </summary>
        [DisplayName("信用风险敞口")]
        public double CreditExposure { get; set; }
        public realtime_trade_risk Clone()
        {
            return (realtime_trade_risk)MemberwiseClone();
        }
    }
    public class realtime_trade_riskReq : BaseSearchReq
    {
        /// <summary>
        /// 估值日
        /// </summary> 
        public DateTime? ValueDate { get; set; }
        public DateTime ValueDateStart { get; set; }
        public DateTime ValueDateEnd { get; set; }

        public string BookIds { get; set; }

        public string TraderIds { get; set; }

        /// <summary>
        /// 交易编码列表
        /// </summary>
        public List<string> TradeNumberList { get; set; }
        /// <summary>
        /// 簿记账户列表
        /// </summary>
        public List<string> AssetBookNameList { get; set; }
        /// <summary>
        /// 交易类型列表
        /// </summary>
        public List<string> TradeTypeList { get; set; }
        /// <summary>
        /// 标的代码列表
        /// </summary>
        public List<string> UnderlyingCodeList { get; set; }
        /// <summary>
        /// 客户名称列表
        /// </summary>
        public List<string> ClientNameList { get; set; }
        /// <summary>
        /// Pv范围开始
        /// </summary>
        public double? PvStart { get; set; }
        /// <summary>
        /// Pv范围结束
        /// </summary>
        public double? PvEnd { get; set; }
        /// <summary>
        /// Delta范围开始
        /// </summary>
        public double? DeltaStart { get; set; }
        /// <summary>
        /// Delta范围结束
        /// </summary>
        public double? DeltaEnd { get; set; }
        /// <summary>
        /// Gamma范围开始
        /// </summary>
        public double? GammaStart { get; set; }
        /// <summary>
        /// Gamma范围结束
        /// </summary>
        public double? GammaEnd { get; set; }
        /// <summary>
        /// Vega范围开始
        /// </summary>
        public double? VegaStart { get; set; }
        /// <summary>
        /// Vega范围结束
        /// </summary>
        public double? VegaEnd { get; set; }
        /// <summary>
        /// Theta范围开始
        /// </summary>
        public double? ThetaStart { get; set; }
        /// <summary>
        /// Theta范围结束
        /// </summary>
        public double? ThetaEnd { get; set; }
        /// <summary>
        /// Rho范围开始
        /// </summary>
        public double? RhoStart { get; set; }
        /// <summary>
        /// Rho范围结束
        /// </summary>
        public double? RhoEnd { get; set; }
        /// <summary>
        /// DdeltaDt范围开始
        /// </summary>
        public double? DdeltaDtStart { get; set; }
        /// <summary>
        /// DdeltaDt范围结束
        /// </summary>
        public double? DdeltaDtEnd { get; set; }
        /// <summary>
        /// DdeltaDvol范围开始
        /// </summary>
        public double? DdeltaDvolStart { get; set; }
        /// <summary>
        /// DdeltaDvol范围结束
        /// </summary>
        public double? DdeltaDvolEnd { get; set; }
        /// <summary>
        /// DvegaDt范围开始
        /// </summary>
        public double? DvegaDtStart { get; set; }
        /// <summary>
        /// DvegaDt范围结束
        /// </summary>
        public double? DvegaDtEnd { get; set; }
        /// <summary>
        /// DvegaDvol范围开始
        /// </summary>
        public double? DvegaDvolStart { get; set; }
        /// <summary>
        /// DvegaDvol范围结束
        /// </summary>
        public double? DvegaDvolEnd { get; set; }
    }

    [NotMapped]
    public class realtime_trade_riskExtend
    {
        public string TradeNumber { get; set; }
        public string TraderName { get; set; }
        public string ClientName { get; set; }
        public string AssetClassName { get; set; }
        public string AssetBookName { get; set; }
        public string TradeType { get; set; }
        public string TradeStatus { get; set; }
        public string UnderLyingCode { get; set; }
        public string BuySell { get; set; }
        public DateTime? ValueDate { get; set; }
        public double? Pv { get; set; }
        public double? Delta { get; set; }
        public double? Gamma { get; set; }
        public double? Vega { get; set; }
        public double? Theta { get; set; }
        public double? Rho { get; set; }
        public double? DdeltaDt { get; set; }
        public double? DdeltaDvol { get; set; }
        public double? DvegaDt { get; set; }
        public double? DvegaDvol { get; set; }
        public int? OptId { get; set; }
        public string OptName { get; set; }
        public DateTime? OptDate { get; set; }
        public string VolType { get; set; }
        public double? Pnl { get; set; }
        public double? DeltaCash { get; set; }
        public double? GammaCash { get; set; }
        public double? DeltaInLots { get; set; }
    }
    public class RiskReason
    {
        /// <summary>
        /// 是否超出范围
        /// </summary>
        public bool IsOverRange
        {
            get
            {
                return !string.IsNullOrEmpty(OverRangeReason);
            }
        }
        public string OverRangeReason { get; set; }
        public RiskReason()
        {
            RuleIds = new List<int>();
        }
        public List<int> RuleIds { get; set; }
    }
}